Staff research, Publications
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Tractable Term Structure Models
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation. -
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Estimating Canada’s Effective Lower Bound
In 2009, the Bank of Canada set its effective lower bound (ELB) at 25 basis points (bps). Given the recent experience of Sweden, Denmark, Switzerland and the euro area with negative interest rates, we examine the economics of negative interest rates and suggest that cash storage costs are the source of a negative lower bound on interest rates. -
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Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions. -
Emergency Liquidity Facilities, Signalling and Funding Costs
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities. -
November 30, 2015
Research Update - November 2015
This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. -
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November 27, 2015
Quarterly Financial Report - Third Quarter 2015
Quarterly Financial Report - Third Quarter 2015 - For the period ended 30 September 2015.